An Eigenfunction Approach for Volatility Modeling

N. Meddahi

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

Abstract: In this paper, we introduce a new approach for volatility modeling in discrete and continuous time.

Keywords: ECONOMETRICS; ECONOMIC MODELS; EXPECTATIONS (search for similar items in EconPapers)
JEL-codes: C51 C52 C50 (search for similar items in EconPapers)
Date: 2001
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